Current Projects - Construction of Commodity Indexes - Analysis of oil reserves - Modelling of spot prices and forward curves for energy and agricultural commodities - Oil, Natural Gas, Electricity and Weather derivatives - Complex and Exotic Options (Asian, Double-Barrier, Swing) - Managing Physical Assets in the Commodity industry (tolling, Power plants, gas storage facilities, aluminium smelters) - High-Frequency Data, Stochastic Clock and Asset Price Modeling - Valuation of Insurance Derivatives and Securitization of Catastrophic Risk - Hedge Funds and Collateralized Fund Obligations - Equity and Interest Rates Modelling with Pure Jump Processes Recent talks
Keynote Speaker at Energy Risk, Houston, May 2010 Invited Speaker at ICBI Global derivatives, Paris, May 2010 Invited Speaker at Current Developments in Valuation and Hedging in Incomplete Markets, Cass Business School, April 2010 Guest Speaker at the Industrial - Academic Forum on Commodities, Fields Institute, April 2010 Invited Speaker at the Bundesbank Workshop on Regulation, Frankfurt, Mars 2010 Wilmar-International Public Lecture on Commodities, Singapore Management University, January 2010 Keynote Speaker on Agricultural Commodities, Palais de la Bourse, October 2009 Keynote Speaker at Energy Forum, Rome, May 2009 Invited Speaker at a Conference on Financial Engineering, Georgia Tech, Atlanta, April 2009 Invited Speaker on Mathematical Finance, Fields Institute, Toronto, Mars 2009 | 
